Estimation of Continuous-Time Models for Stock Returns and Interest Rates

dc.contributor.author	Gallant, A. Ronald	en_US
dc.contributor.author	Tauchen, George	en_US
dc.date.accessioned	2010-06-28T18:59:01Z
dc.date.available	2010-06-28T18:59:01Z
dc.date.issued	1997	en_US
dc.identifier.uri	http://hdl.handle.net/10161/2590
dc.description.abstract	Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for the dynamics of the daily return on the S&P Composite Index, 1927–1987. This contrasts with results indicating that discrete-time, stochastic volatility models cannot explain these dynamics. For interest rates, a trivariate Yield-Factor Model is estimated from weekly, 1962–1995, Treasury rates. The Yield-Factor Model is sharply rejected, although extensions permitting convexities in the local variance come closer to fitting the data.	en_US
dc.format.extent	416213 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Macroeconomic Dynamics	en_US
dc.subject	Continuous-Time Models	en_US
dc.subject	Efficient method of moments	en_US
dc.subject	Stock returns	en_US
dc.subject	diffusion models	en_US
dc.subject	interest rates	en_US
dc.subject	stochastic differential equations	en_US
dc.subject	yield factor model	en_US
dc.title	Estimation of Continuous-Time Models for Stock Returns and Interest Rates	en_US
dc.type	Journal Article	en_US
dc.department	Economics